Data Mining Research Topics by nya22076

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									           Hidden Markov Models for Financial Time Series

                                        TOPICS FOR DISCUSSION AND RESEARCH

Models and Methodology

           Classification

           Finite Mixture Model (FMM)

           Bayesian Model-Selection Criteria
                                        BIC
                                        Kashyap
           Markov Model

           Testing Weekday Effects

           Trading Strategies

           Hidden Markov Model

           Computation by Greedy Algorithm and K-Means

           Vector HMMs
DJIs
          Markov Model for 30 DJIs
          G / K HMM for 30 DJIs
Study of Alternative Algorithms
          E-step:                       Comparison of Greedy and Viterbi Algorithms
          M-step:                       Comparison of K-Means and Baum-Welch estimators

           Comparison of Four E-M Combinations                          G/K
                                                                        G/B
                                                                        V/K
                                                                        V/B
Beyond the Mean-Switching Model
         Autoregressive Switching Means Model
         Switching Autoregressions Model
Herding

Data Mining
          Background
          Naik / Wedel paper
Buy Signals
          Technical Charting            Yu Chen
          Torgo's tutorial using R      Rosario Ortiz, Richard Potter
          Gas                           Sid Bhattacharyya
Bispectra
          G and L
                            Seminar on Statistical Models in Business
           Spring 2004/Summer 2004/Fall 2004 / Spring 2005 / etc., Thursday mornings, Room 2432 UH
                                          CALENDAR (subject to change)
Week
of term       #   Day
       9      1   R,  11 Mar      10:30 Viterbi Algorithm
              2                   12:00 Derivation of Bayesian Model Selection Criteria
     10       1   T,   16   Mar   10:30 Testing Weekday Effects in AR Model
              2   R,   18   Mar   12:00 Markov Property
     11       1   T,   23   Mar   10:30 Trading Strategies
              2   R,   25   Mar   12:00 Trading Strategies
     12       1   T,   30   Mar         (Sclove out of town)
              2   R,    1   Apr         (Sclove out of town)
     13       1   T,    6   Apr   10:30 Vector HMMs
                                          . . .
                                          22 / 24 - June: Sclove away

                                          14 / 18 - July: IFCS Meetings at I.I.T.
                       22 July            Principal Components; Factor Analysis
                                          6 / 20 - Aug: Sclove away
      1                26 Aug             Where We've Been and Where We're Going

      5                30   Sep       Sclove: Mixture/Transition Model -- Covariance Function
      6                 7   Oct       (Finance Group)
      7                 7   Oct       GDP Velocity & Acceleration; Recession/Recovery/Expansion
      8                14   Oct       (Finance Group)
      9                21   Oct       GDP Velocity & Acceleration; Recession/Recovery/Expansion, cont'd
     10                28   Oct       Finance Group: Sclove - Where We've Been & Where We're Going
     11                 4   Nov       Tentative: Eigenanalysis and VMA for Russell Style Indices
     12                11   Nov       Finance Group: Sclove, if not 28-Oct
     13                18   Nov       Tentative: AR for Individuals Stocks, with Options Pricing
     14                25   Nov       (Thanksgiving)
     15                 2   Dec       Bispectra, G, L
     16                 9   Dec       Bispectra, G, L, cont'd
                       16   Dec       (Winter Break)
                       23   Dec 10:50 Testing with Model Selection Criteria
      1                13   Jan  9:15 Expected Utility
      2                20   Jan  9:15 Introduction to Trading Strategies
                  R    27   Jan       Trading Strategies, cont'd
                  R     3   Feb       Herding
                  R     3   Mar           DM: MBR for CRM - Background
                       10   Mar           DM: MBR for CRM - Background
                       17   Mar           DM: MBR for CRM - Naik / Wedel paper
                       24   Mar           DM: MBR for CRM - Naik / Wedel paper
                       31   Mar           DM: MBR for CRM - Naik / Wedel paper
                        7   Apr           Buy Signals -- Patterns: Yu Chen
                      14   Apr   Buy Signals -- Torgo's R tutorial
                      21   Apr   Buy Signals -- GAs: Prof. Bhattacharyya
                      28   Apr
                       5   May
                      12   May
                      19   May
                      26   May
                       2   Jun
                       9   Jun   CSNA / Interface 2005 - St. Louis
                      16   Jun
                      23   Jun
                      30   Jun
Created: 9-Mar-2004                                                        latest update 2005: Mar 6
SPRING SEMESTER, 2004

22-Mar-2004 Monday      Spring Break
26-Mar-2004 Friday




31-May-2004 Monday      Memorial Day

 4-Jul-2004   Sunday    Independence Day
 5-Jul-2004   Monday    Independence Day observed

6-Sep-2004 Monday       Labor Day

15-Sep-2004 Wednesday   eve of Jewish New Year

24-Sep-2004 Friday      Eve of Jewish Day of Atonement

25-Nov-2004 Thursday    Thanksgiving

								
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